National Grid 2008 Annual Report Download - page 663

BOWNE INTEGRATED TYPESETTING SYSTEM
CRC: 59217
Name: NATIONAL GRID
Date: 17-JUN-2008 03:10:51.35Operator: BNY99999TPhone: [phone]Site: BOWNE OF NEW YORK
Y59930.SUB, DocName: EX-15.1, Doc: 16, Page: 136
Description: EXHIBIT 15.1
0/5332.00.00.00Y59930BNY
[E/O] EDGAR 2 *Y59930/332/5*
BOWNE INTEGRATED TYPESETTING SYSTEM
CRC: 59217
Name: NATIONAL GRID
Date: 17-JUN-2008 03:10:51.35Operator: BNY99999TPhone: [phone]Site: BOWNE OF NEW YORK
Y59930.SUB, DocName: EX-15.1, Doc: 16, Page: 136 Description: EXHIBIT 15.1
0/5332.00.00.00Y59930BNY
[E/O] EDGAR 2 *Y59930/332/5*
Table of Contents
144
Notes to the consolidated financial statements continued
National Grid plc
17. Derivative financial instruments
Our use of derivatives may entail a derivative transaction qualifying for one or more hedge type designations under IAS 39. For
further information and a detailed description of our derivative financial instruments and hedge type designations, refer to note
32. The fair value amounts by designated hedge type can be analysed as follows:
The maturity of derivative financial instruments is as follows:
For each class of derivatives, our exposure, based on the sterling equivalent notional value of the pay leg is as follows:
2008 2007
Assets Liabilities Total Assets Liabilities Total
£m £m £m £m £m £m
Fair value hed
g
es
Interest rate swaps 23 (8) 15 16 (30) (14)
Cross-currenc
y
interest rate swa
p
s 271
(
43
)
228 50
(
137
)
(
87
)
294
(
51
)
243 66
(
167
)
(
101
)
Cash flow hed
g
es
Interest rate swa
p
s 49
(
76
)
(
27
)
15
(
6
)
9
Cross-currenc
y
interest rate swa
p
s 609
(
8
)
601 69
(
25
)
44
Foreign exchange forward contracts 16 (7) 9 – – –
674
(
91
)
583 84
(
31
)
53
Net investment hed
g
es
Cross-currenc
y
interest rate swa
p
s 362
(
49
)
313 270
(
32
)
238
Forei
g
n exchan
g
e forward contracts
–
(
20
)
(
20
)
4
(
13
)
(
9
)
362
(
69
)
293 274
(
45
)
229
Derivatives not in a formal hedge relationship
Interest rate swa
p
s 76
(
100
)
(
24
)
17
(
35
)
(
18
)
Interest rate swa
p
tions
–
(
6
)
(
6
)
–
–
–
Cross-currenc
y
interest rate swa
p
s 4
–
4123
(
4
)
119
Equity index-linked (i) – – – 145 (189) (44)
80
(
106
)
(
26
)
285
(
228
)
57
1,410
(
317
)
1,093 709
(
471
)
238
Hed
g
e
p
ositions offset within derivative instruments 116
(
116
)
–
(
52
)
52
–
Total 1,526
(
433
)
1,093 657
(
419
)
238
(i) The equity index-linked derivatives are investment related derivative financial instruments that offset each other on a post-tax basis.
2008 2007
Assets Liabilities Total Assets Liabilities Total
£m £m £m £m £m £m
In one
y
ear or less 463
(
114
)
349 277
(
235
)
42
Current 463
(
114
)
349 277
(
235
)
42
In more than one year, but not more than two years 104 (3) 101 26 (10) 16
In more than two
y
ears, but not more than three
y
ears 113
(
21
)
92 12
(
7
)
5
In more than three
y
ears, but not more than four
y
ears 358
(
68
)
290 5
(
3
)
2
In more than four
y
ears, but not more than five
y
ears 170
(
36
)
134 173
(
22
)
151
In more than five years 318 (191) 127 164 (142) 22
Non-current 1,063
(
319
)
744 380
(
184
)
196
1,526
(
433
)
1,093 657
(
419
)
238
2008 2007
£m £m
Interest rate swa
p
s
(
10,105
)
(
7,026
)
Interest rate swaptions (202) –
Cross-currenc
y
interest rate swa
p
s
(
7,120
)
(
8,631
)
Forei
g
n exchan
g
e forward contracts
(
2,020
)
(
2,213
)
E
q
uit
y
index-linked
–
(
607
)
Total
(
19,447
)
(
18,477
)